I don't believe you are doing anything wrong. I am running the Connect App on an Android smartphone and I set my notifications to the way you described how yours were and gave it a try and I did receive incoming call notifications just as I usually do. Maybe this was an issue that has been corrected with an update? I am running the current version of the app, 6.4.1. Might verify if you have the most recent version of the app and if not after updating it give it a try setting your notifictions to the way you want them and see if you get the incoming call notification or not.
Hope this helps.